A barrier option of American type

Applied Mathematics and Optimization

Volumn 42, Issue 3, 2000, Pages 259-279

  Karatzas, I ^a   Wang, H ^b  

^a Howard Hughes Medical Institute   (United States)

^b BROWN UNIVERSITY   (United States)

Author keywords

American option; Barrier option; Constrained portfolios; Elastic boundary condition; Hedging; Optimal stopping; Singular stochastic control; Variational inequality

Indexed keywords

BOUNDARY CONDITIONS; OPTIMIZATION; PROBLEM SOLVING; STATISTICAL METHODS; VARIATIONAL TECHNIQUES;

AMERICAN PUT-OPTIONS; BARRIER OPTIONS; OPTIMAL STOPPING; VARIATIONAL INEQUALITY;

RANDOM PROCESSES;

EID: 0034318222     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s002450010013     Document Type: Article

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